Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.24.3
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis
The following table summarizes the Company’s assets and liabilities that are measured at fair value on a recurring basis as required by ASC 820, by level, within the fair value hierarchy as of September 30, 2024 and December 31, 2023 (in thousands):
September 30, 2024
Fair Value Level 1 Level 2 Level 3
Liability
Convertible debt, current $ 42,640  $ —  $ —  $ 42,640 
Derivative liability, non-current $ 9,888  $ —  $ —  $ 9,888 
Warrant liability, non-current $ 26,618  $ —  $ 26,618  $ — 
December 31, 2023
Fair Value Level 1 Level 2 Level 3
Liability
Contingent earnout shares liability $ 41  $ —  $ —  $ 41 
Derivative liability, current $ 860  $ —  $ —  $ 860 
Convertible debt, current $ 16,052  $ —  $ —  $ 16,052 
Derivative liability, non-current $ 25,919  $ —  $ —  $ 25,919 
Warrant liability, non-current $ 17,390  $ —  $ 17,390  $ — 
Schedule of Fair Value of the Initial Loans Based on Assumptions
Tenth Pre-Paid Advance
Initial July Prepaid Advance
First Supplemental Advance
Stock price $ 0.98  $ 0.98  $ 0.98 
Risk free interest rate 4.8  % 4.6  % 4.5  %
Interest rate 5.0  % 5.0  % 5.0  %
Expected volatility 106.2  % 115.7  % 111.6  %
Expected dividend yield —  % —  % —  %
Remaining term (in years) 0.2 0.3 0.4
The following table summarizes the Company’s stock-based compensation expense by line item for the three and nine months ended September 30, 2024 and 2023 (in thousands):
Three months ended
September 30,
 Nine months ended September 30,
2024 2023 2024 2023
Research and development $ (1,341) $ 626  $ (1,390) $ 4,970 
Selling, general and administrative 2,987  6,282  15,120  18,481 
Total $ 1,647  $ 6,908  $ 13,730  $ 23,451 
The key inputs used in the valuation were as follows:
Expected term (years) 10.0
Risk free interest rate 3.0  %
Expected volatility 91.3  %
Dividend yield —  %
Exercise price $ 49.45 
Stock price $ 83.49 
The key inputs used in the valuation were as follows:
Expected term (year) 4.5
Expected volatility 117.3  %
Dividend yield —  %
Risk free rate 3.4  %
Estimated fair value per warrant $ 0.75 
Exercise price $ 1.37 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 3.9
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.26 
Exercise price $ 29.90 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.2
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.39 
Exercise price $ 15.41 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.0
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.37 
Exercise Price $ 14.93 
Stock Price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.3
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.41 
Exercise price $ 15.41 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.0
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.40 
Exercise price $ 12.91 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 5.5
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.70 
Exercise price $ 2.24 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.8
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.70 
Exercise price $ 2.70 
Stock price $ 0.98 
The key inputs used in the valuation were as follows:
Expected term (years) 4.9
Expected volatility 117.3  %
Expected dividend rate —  %
Risk free rate 3.6  %
Estimated fair value per warrant $ 0.75 
Exercise price $ 1.76 
Stock price $ 0.98 
Schedule of Fair Value of Convertible Debt and Earnout Shares Liability
Following is a summary of the change in fair value of the Convertible Debt for the nine months ended September 30, 2024 and September 30, 2023 (in thousands).
Nine months ended September 30,
Convertible Debt 2024 2023
Beginning fair value $ 16,052  $ — 
Additions during the period 87,046  71,438 
Payments in cash and common stock during the period (97,091) — 
Change in fair value during the period 36,633  1,339 
Ending fair value $ 42,640  $ 72,777 
Following is a summary of the change in fair value of the Earnout Shares liability for the nine months ended September 30, 2024 and September 30, 2023 (in thousands).
Nine months ended September 30,
Earnout Shares Liability 2024 2023
Beginning fair value $ 41  $ 3,013 
Change in fair value during the period (41) (2,843)
Ending fair value $ —  $ 170 
Schedule of Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation
Following is a summary of the change in fair value of the derivative liability for the nine months ended September 30, 2024 and September 30, 2023 (in thousands).
Nine months ended September 30,
Derivative liability 2024 2023
Beginning fair value $ 26,779  $ — 
Additions during the period 24,857  4,310 
Derecognition of liability upon expiration of agreement (1,604) (774)
Change in fair value during the period (40,144) (2,998)
Ending fair value $ 9,888  $ 538